Aftermath of 2008 financial crisis on oil prices

Sehgal, Neha and Pandey, Krishan Kumar (2015) Aftermath of 2008 financial crisis on oil prices. In: IC3K 2015 - Proceedings of the 7th International Joint Conference on Knowledge Discovery, Knowledge Engineering and Knowledge Management, 12 to14 November 2015, Lisbon.

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Geopolitical and economic events had strong impact on crude oil markets for over 40 years. Oil prices steadily rose for several years and in July 2008 stood at a record high of $145 per barrel. Further, it plunged to $43 per barrel by end of 2008. There is need to identify appropriate features (factors) explaining the characteristics of oil markets during booming and downturn period. Feature selection can help in identifying the most informative and influential input variables before and after financial crisis. The study used an extended version of MI3 algorithm i.e. I2MI2 algorithm together with general regression neural network as forecasting engine to examine the explanatory power of selected features and their contribution in driving oil prices. The study used features selected from proposed methodology for one-month ahead and twelvemonth ahead forecast horizon. The forecast from the proposed methodology outperformed in comparison to EIA’s STEO estimates. Results shows that reserves and speculations were main players before the crisis and the overall mechanism was broken due to 2008 global financial crisis. The contribution of emerging economy (China) emerged as important variable in explaining the directions of oil prices. EPPI and CPI remain the building blocks before and after crisis while influence of Non-OECD consumption rises after the crisis.

Item Type: Conference or Workshop Item (Paper)
Keywords: Feature selection | Mutual information | Interaction information | Neural networks | Oil price forecasting
Subjects: Social Sciences and humanities > Business, Management and Accounting > Strategy and Management
Social Sciences and humanities > Economics, Econometrics and Finance > Economics
JGU School/Centre: Jindal Global Business School
Depositing User: Mr Sombir Dahiya
Date Deposited: 20 Jan 2022 10:40
Last Modified: 17 Jun 2022 04:59
Official URL:


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